The interest in research and development for additive manufacturing (AM) processes has grown significantly over the last years and attracts both industry and academia alike. Among the available AM technologies, stereolithography (SLA) is one of the most discussed, researched, and employed. On the other hand, being based on thermoset resins, all the limitations of this typology of materials still apply, limiting the range of applications of this highly versatile process. To overcome these limitations, especially brittleness, this research analyzes the effects of Tungsten (W) micro-size (average size 1 μm) particles reinforcement on a methacrylate base material. First, the manufacturing process for creating the W-reinforced methacrylate material is presented and investigated to define the effect of pre- and post-processing operations on the quality of the pre-cured solution considering 4% and 10% wt. W particles concentrations. Afterward, tensile, compressive, and impact specimens were manufactured with both concentrations and compared with the experimental results from clear (unfilled) resin-based specimens used as the benchmark. The addition of tungsten particles showed a strong improvement in the impact strength of the methacrylate base material, quantified in 28% for the 4% and 55% for the 10% wt., respectively, although at the expense of a slight reduction in elastic and yield properties on average −12%. Furthermore, using Scanning Electron Microscope (SEM) analyses, the particle–matrix interaction was investigated, showing the interaction between the polymer matrix and the reinforcement and the mechanism by which the impact resistance is enhanced.